Stochastic Volatilities and Correlations of Bond Yields
构建了一个利率模型，用不同因子分别驱动债券收益率及其协方差的变化，并用互换期权和贴现债券的面板数据估计模型，发现定价误差很小，支持了相关文献的猜想。
ABSTRACT I develop an interest rate model with separate factors driving innovations in bond yields and their covariances. It features a flexible and tractable affine structure for bond covariances. Maximum likelihood estimation of the model with panel data on swaptions and discount bonds implies pricing errors for swaptions that are almost always lower than half of the bid–ask spread. Furthermore, market prices of interest rate caps do not deviate significantly from their no‐arbitrage values implied by the swaptions under the model. These findings support the conjectures of Collin‐Dufresne and Goldstein (2003) , Dai and Singleton (2003) , and Jagnnathan, Kaplin, and Sun (2003) .